You can't create a single line with more than one line style, but you can make it look like you did. The example shows a road that changes to indicate a tunnel under the river. Here's how you do it:
1) Draw a line with the road style across the river.
2) Using the Scalpel tool, click and drag across the line where it touches the left and right edge of the river to add new points.
3) Still using the Scalpel tool, hold down Ctrl and click at the two points you just added. This separates the line into three separate lines.
4) Now, select the middle portion, and change the line style to a tunnel.